Backtest results of built-in trading strategies
Testing built-in timing and stock selection strategies
Test parameters
Every strategy is backtested once, the backtest period is from 1996 to 2021, the default strategy parameters are used for testing, and the test parameters are as follows:
Start and end dates of backtest period: 1996-04-13 —— 2021-04-13, lasting 25 years
Asset tested: “000001.SH” Shanghai Stock Exchange Index
Benchmark: “000001.SH” Shanghai Stock Exchange Index
import qteasy as qt
print(qt.__version__)
Moving average strategy
Crossline strategies
import qteasy as qt
op = qt.Operator(strategies=['crossline'])
op.set_parameter(0, pars=(35, 120, 10, 'buy'))
qt.configure(mode=1,
print_backtest_log=False,
riskfree_ir=0.025,
invest_start='19960413',
invest_end='20210413',
asset_pool='000001.SH',
asset_type='I',
reference_asset='000001.SH')
qt.configuration(up_to=5, default=True)
Key Current Default
------------------------------------------------
mode: 1 <1>
asset_pool: 000001.SH <000300.SH>
asset_type: I <I>
trade_batch_size: 0.0 <0.0>
sell_batch_size: 0.0 <0.0>
riskfree_ir: 0.025 <0.0035>
parallel: False <False>
hist_dnld_parallel: 16 <16>
hist_dnld_delay: None <None>
hist_dnld_delay_evy: None <None>
hist_dnld_prog_bar: None <None>
gpu: False <False>
hist_data_channel: local <local>
print_backtest_log: False <False>
reference_asset: 000001.SH <000300.SH>
ref_asset_type: I <I>
ref_asset_dtype: close <close>
visual: True <True>
buy_sell_points: True <True>
show_positions: True <True>
cost_fixed_buy: 0 <0>
cost_fixed_sell: 0 <0>
cost_rate_buy: 0.0003 <0.0003>
cost_rate_sell: 0.0001 <0.0001>
cost_min_buy: 5.0 <5.0>
cost_min_sell: 0.0 <0.0>
cost_slippage: 0.0 <0.0>
log: True <True>
trade_log: True <True>
invest_start: 19960413 <20160405>
invest_end: 20210413 <20210201>
invest_cash_amounts: [100000.0] <[100000.0]>
invest_cash_dates: None <None>
allow_sell_short: False <False>
PT_buy_threshold: 0.03 <0.03>
PT_sell_threshold: 0.03 <0.03>
price_priority_OHLC: OHLC <OHLC>
price_priority_quote: normal <normal>
cash_deliver_period: 0 <0>
stock_deliver_period: 1 <1>
opti_start: 20160405 <20160405>
opti_end: 20191231 <20191231>
opti_cash_amounts: [100000.0] <[100000.0]>
opti_cash_dates: None <None>
opti_type: single <single>
opti_sub_periods: 5 <5>
opti_sub_prd_length: 0.6 <0.6>
test_start: 20200106 <20200106>
test_end: 20210201 <20210201>
test_cash_amounts: [100000.0] <[100000.0]>
test_cash_dates: None <None>
test_type: single <single>
test_indicators: years,fv,return,mdd,v,ref,alpha,beta,sharp,info<years,fv,return,mdd,v,ref,alpha,beta,sharp,info>
indicator_plot_type: histo <histo>
test_sub_periods: 3 <3>
test_sub_prd_length: 0.75 <0.75>
test_cycle_count: 100 <100>
optimize_target: final_value <final_value>
maximize_target: True <True>
opti_method: 1 <1>
opti_grid_size: 1 <1>
opti_sample_count: 256 <256>
opti_r_sample_count: 16 <16>
opti_reduce_ratio: 0.1 <0.1>
opti_max_rounds: 5 <5>
opti_min_volume: 1000 <1000>
opti_population: 1000.0 <1000.0>
opti_img/output_count: 30 <30>
res = qt.run(op)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 38.3ms
time consumption for operation back looping: 589.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 28 29 57 51.1% 0.0% 48.9%
Total operation fee: ¥ 6,589.95
total investment amount: ¥ 100,000.00
final value: ¥1,015,064.41
Total return: 915.06%
Avg Yearly return: 9.71%
Skewness: -0.79
Kurtosis: 12.30
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.054
Beta: 0.851
Sharp ratio: 0.035
Info ratio: 0.002
250 day volatility: 0.158
Max drawdown: 46.31%
peak / valley: 2015-06-12 / 2020-02-03
recovered on: Not recovered!
===========END OF REPORT=============
MACD strategy
op = qt.Operator(strategies=['macd'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 69.8ms
time consumption for operation back looping: 587.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 219 219 438 52.3% 0.0% 47.7%
Total operation fee: ¥ 64,593.15
total investment amount: ¥ 100,000.00
final value: ¥1,882,579.16
Total return: 1782.58%
Avg Yearly return: 12.45%
Skewness: -0.09
Kurtosis: 13.67
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.029
Beta: 0.996
Sharp ratio: 0.044
Info ratio: 0.010
250 day volatility: 0.161
Max drawdown: 38.50%
peak / valley: 2008-01-14 / 2008-10-15
recovered on: 2009-07-20
===========END OF REPORT=============
DMA strategy
op = qt.Operator(strategies=['dma'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
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| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 7.0ms
time consumption for operation back looping: 572.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 209 209 418 51.3% 0.0% 48.7%
Total operation fee: ¥ 41,939.60
total investment amount: ¥ 100,000.00
final value: ¥1,123,321.41
Total return: 1023.32%
Avg Yearly return: 10.15%
Skewness: -0.34
Kurtosis: 13.64
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.002
Beta: 0.998
Sharp ratio: 0.035
Info ratio: 0.003
250 day volatility: 0.162
Max drawdown: 42.24%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2015-03-30
===========END OF REPORT=============
TRIX strategy
op = qt.Operator(strategies=['trix'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 53.6ms
time consumption for operation back looping: 568.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 47 46 93 51.8% 0.0% 48.2%
Total operation fee: ¥ 6,628.99
total investment amount: ¥ 100,000.00
final value: ¥ 647,405.62
Total return: 547.41%
Avg Yearly return: 7.75%
Skewness: -0.87
Kurtosis: 12.33
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.022
Beta: 0.998
Sharp ratio: 0.023
Info ratio: -0.004
250 day volatility: 0.166
Max drawdown: 39.82%
peak / valley: 2015-06-12 / 2019-01-03
recovered on: Not recovered!
===========END OF REPORT=============
Candlestick pattern recognition strategy
CDL strategy
op = qt.Operator(strategies=['cdl'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local filesHrom 19950531 to 20210413
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 63.2ms
time consumption for operation back looping: 705.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 1 0 1 100.0% 0.0% 0.0%
Total operation fee: ¥ 29.99
total investment amount: ¥ 100,000.00
final value: ¥ 580,746.64
Total return: 480.75%
Avg Yearly return: 7.29%
Skewness: -0.24
Kurtosis: 5.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.000
Beta: 1.000
Sharp ratio: 0.021
Info ratio: -0.003
250 day volatility: 0.240
Max drawdown: 71.98%
peak / valley: 2007-10-16 / 2008-11-04
recovered on: Not recovered!
===========END OF REPORT=============
Momentum strategies
Bollinger Band strategy
op = qt.Operator(strategies=['bband'], signal_type='ps')
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 31.9ms
time consumption for operation back looping: 369.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 91 62 153 49.4% 0.0% 50.6%
Total operation fee: ¥ 27,102.22
total investment amount: ¥ 100,000.00
final value: ¥2,648,108.21
Total return: 2548.11%
Avg Yearly return: 14.00%
Skewness: -0.42
Kurtosis: 14.09
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.036
Beta: 1.000
Sharp ratio: 0.039
Info ratio: 0.015
250 day volatility: 0.156
Max drawdown: 30.62%
peak / valley: 1996-12-09 / 1996-12-24
recovered on: 1997-04-04
===========END OF REPORT=============
S-BBAND strategy
op = qt.Operator(strategies=['s-bband'], signal_type='ps')
res = qt.run(op, mode=1, print_backtest_log=False)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 31.9ms
time consumption for operation back looping: 413.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 334 282 616 99.9% 0.0% 0.1%
Total operation fee: ¥ 6,741.51
total investment amount: ¥ 100,000.00
final value: ¥1,265,109.72
Total return: 1165.11%
Avg Yearly return: 10.68%
Skewness: -0.97
Kurtosis: 21.03
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.092
Beta: 1.941
Sharp ratio: 0.030
Info ratio: 0.004
250 day volatility: 0.117
Max drawdown: 30.62%
peak / valley: 1996-12-09 / 1996-12-24
recovered on: 1997-04-04
===========END OF REPORT=============
SAREXT strategy
op = qt.Operator(strategies=['sarext'])
qt.configuration()
Key Current
-------------------------------------
mode: 1
asset_pool: 000001.SH
asset_type: I
invest_start: 19960413
invest_end: 20210413
opti_start: 20160405
opti_end: 20191231
test_start: 20200106
test_end: 20210201
op = qt.Operator(strategies=['ssma'])
res = qt.run(op, mode=1, printlog=True)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 26.7ms
time consumption for operation back looping: 568.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 354 353 707 53.6% 0.0% 46.4%
Total operation fee: ¥ 284,858.42
total investment amount: ¥ 100,000.00
final value: ¥5,001,064.13
Total return: 4901.06%
Avg Yearly return: 16.93%
Skewness: -0.22
Kurtosis: 12.77
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.077
Beta: 0.993
Sharp ratio: 0.055
Info ratio: 0.023
250 day volatility: 0.157
Max drawdown: 30.99%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2009-06-26
===========END OF REPORT=============
Single moving average crossover class
DEMA single moving average crossover strategy
op = qt.Operator(strategies=['sdema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 35.8ms
time consumption for operation back looping: 574.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 674 673 1347 52.4% 0.0% 47.6%
Total operation fee: ¥ 246,258.42
total investment amount: ¥ 100,000.00
final value: ¥1,842,314.74
Total return: 1742.31%
Avg Yearly return: 12.35%
Skewness: 0.26
Kurtosis: 14.54
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.013
Beta: 0.990
Sharp ratio: 0.042
Info ratio: 0.010
250 day volatility: 0.158
Max drawdown: 37.01%
peak / valley: 2007-10-16 / 2008-11-04
recovered on: 2009-07-03
===========END OF REPORT=============
EMA single moving average crossover strategy
op = qt.Operator(strategies=['sema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 28.2ms
time consumption for operation back looping: 578.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 377 376 753 53.6% 0.0% 46.4%
Total operation fee: ¥ 352,080.66
total investment amount: ¥ 100,000.00
final value: ¥5,568,823.83
Total return: 5468.82%
Avg Yearly return: 17.44%
Skewness: -0.28
Kurtosis: 12.83
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.082
Beta: 0.993
Sharp ratio: 0.055
Info ratio: 0.025
250 day volatility: 0.158
Max drawdown: 29.29%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2009-06-29
===========END OF REPORT=============
HT_TRENDLINE single moving average crossover strategy
op = qt.Operator(strategies=['sht'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 134.2ms
time consumption for operation back looping: 580.6ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 246 245 491 54.4% 0.0% 45.6%
Total operation fee: ¥ 213,484.06
total investment amount: ¥ 100,000.00
final value: ¥5,258,142.09
Total return: 5158.14%
Avg Yearly return: 17.17%
Skewness: -0.39
Kurtosis: 12.61
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.077
Beta: 0.995
Sharp ratio: 0.052
Info ratio: 0.025
250 day volatility: 0.160
Max drawdown: 22.35%
peak / valley: 1997-05-12 / 1997-12-18
recovered on: 1999-05-27
===========END OF REPORT=============
KAMA single moving average crossover strategy
op = qt.Operator(strategies=['skama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 30.9ms
time consumption for operation back looping: 571.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 331 330 661 50.7% 0.0% 49.3%
Total operation fee: ¥ 122,059.97
total investment amount: ¥ 100,000.00
final value: ¥1,534,788.53
Total return: 1434.79%
Avg Yearly return: 11.54%
Skewness: -0.32
Kurtosis: 14.09
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.012
Beta: 0.992
Sharp ratio: 0.037
Info ratio: 0.007
250 day volatility: 0.154
Max drawdown: 34.72%
peak / valley: 2007-10-16 / 2008-11-11
recovered on: 2009-07-20
===========END OF REPORT=============
MAMA single moving average crossover strategy
op = qt.Operator(strategies=['smama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 144.5ms
time consumption for operation back looping: 615.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 494 493 987 53.2% 0.0% 46.8%
Total operation fee: ¥ 331,123.13
total investment amount: ¥ 100,000.00
final value: ¥3,839,038.80
Total return: 3739.04%
Avg Yearly return: 15.70%
Skewness: -0.11
Kurtosis: 13.87
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.055
Beta: 0.990
Sharp ratio: 0.048
Info ratio: 0.019
250 day volatility: 0.157
Max drawdown: 25.57%
peak / valley: 2015-07-23 / 2018-12-14
recovered on: 2020-07-06
===========END OF REPORT=============
FAMA single moving average crossover strategy
op = qt.Operator(strategies=['sfama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 141.6ms
time consumption for operation back looping: 576.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 269 268 537 53.0% 0.0% 47.0%
Total operation fee: ¥ 165,473.25
total investment amount: ¥ 100,000.00
final value: ¥3,287,553.28
Total return: 3187.55%
Avg Yearly return: 14.99%
Skewness: -0.57
Kurtosis: 13.75
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.051
Beta: 0.994
Sharp ratio: 0.045
Info ratio: 0.018
250 day volatility: 0.159
Max drawdown: 34.66%
peak / valley: 2015-06-12 / 2016-06-24
recovered on: Not recovered!
===========END OF REPORT=============
T3 single moving average crossover strategy
op = qt.Operator(strategies=['st3'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 29.9ms
time consumption for operation back looping: 637.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 292 291 583 53.6% 0.0% 46.4%
Total operation fee: ¥ 247,511.22
total investment amount: ¥ 100,000.00
final value: ¥4,541,825.83
Total return: 4441.83%
Avg Yearly return: 16.48%
Skewness: -0.36
Kurtosis: 13.34
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.075
Beta: 0.994
Sharp ratio: 0.054
Info ratio: 0.022
250 day volatility: 0.158
Max drawdown: 28.46%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2009-06-18
===========END OF REPORT=============
TEMA single moving average crossover strategy
op = qt.Operator(strategies=['stema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 40.6ms
time consumption for operation back looping: 594.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 1109 1109 2218 49.7% 0.0% 50.3%
Total operation fee: ¥ 459,406.79
total investment amount: ¥ 100,000.00
final value: ¥3,555,180.77
Total return: 3455.18%
Avg Yearly return: 15.35%
Skewness: 0.26
Kurtosis: 13.93
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.049
Beta: 0.989
Sharp ratio: 0.056
Info ratio: 0.020
250 day volatility: 0.167
Max drawdown: 36.31%
peak / valley: 2008-01-17 / 2008-09-18
recovered on: 2009-05-04
===========END OF REPORT=============
TRIMA single moving average crossover strategy
op = qt.Operator(strategies=['strima'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 27.7ms
time consumption for operation back looping: 575.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 387 386 773 53.8% 0.0% 46.2%
Total operation fee: ¥ 154,195.86
total investment amount: ¥ 100,000.00
final value: ¥1,919,160.49
Total return: 1819.16%
Avg Yearly return: 12.54%
Skewness: -0.25
Kurtosis: 12.93
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.030
Beta: 0.991
Sharp ratio: 0.038
Info ratio: 0.010
250 day volatility: 0.157
Max drawdown: 41.48%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2014-11-25
===========END OF REPORT=============
WMA single moving average crossover strategy
op = qt.Operator(strategies=['swma'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 26.5ms
time consumption for operation back looping: 592.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 497 496 993 53.1% 0.0% 46.9%
Total operation fee: ¥ 216,059.32
total investment amount: ¥ 100,000.00
final value: ¥2,310,899.63
Total return: 2210.90%
Avg Yearly return: 13.38%
Skewness: -0.12
Kurtosis: 14.11
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.030
Beta: 0.990
Sharp ratio: 0.039
Info ratio: 0.013
250 day volatility: 0.157
Max drawdown: 31.63%
peak / valley: 2015-06-12 / 2018-12-14
recovered on: Not recovered!
===========END OF REPORT=============
Dual moving average crossover trading strategy class
SMA dual moving average crossover strategy
op = qt.Operator(strategies=['dsma'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 38.5ms
time consumption for operation back looping: 593.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 33 33 66 54.1% 0.0% 45.9%
Total operation fee: ¥ 8,073.73
total investment amount: ¥ 100,000.00
final value: ¥1,282,102.43
Total return: 1182.10%
Avg Yearly return: 10.74%
Skewness: -0.79
Kurtosis: 11.82
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.003
Beta: 0.918
Sharp ratio: 0.033
Info ratio: 0.006
250 day volatility: 0.164
Max drawdown: 37.77%
peak / valley: 2015-06-12 / 2016-01-07
recovered on: Not recovered!
===========END OF REPORT=============
DEMA dual moving average crossover strategy
op = qt.Operator(strategies=['ddema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 50.2ms
time consumption for operation back looping: 576.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 62 61 123 53.9% 0.0% 46.1%
Total operation fee: ¥ 13,708.33
total investment amount: ¥ 100,000.00
final value: ¥ 934,220.81
Total return: 834.22%
Avg Yearly return: 9.35%
Skewness: -0.63
Kurtosis: 12.39
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.001
Beta: 0.998
Sharp ratio: 0.022
Info ratio: 0.001
250 day volatility: 0.167
Max drawdown: 49.41%
peak / valley: 2007-10-16 / 2008-11-04
recovered on: 2009-07-27
===========END OF REPORT=============
EMA dual moving average crossover strategy
op = qt.Operator(strategies=['dema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 40.9ms
time consumption for operation back looping: 581.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 152 151 303 53.5% 0.0% 46.5%
Total operation fee: ¥ 79,796.95
total investment amount: ¥ 100,000.00
final value: ¥2,743,507.81
Total return: 2643.51%
Avg Yearly return: 14.16%
Skewness: -0.60
Kurtosis: 13.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.047
Beta: 0.996
Sharp ratio: 0.043
Info ratio: 0.016
250 day volatility: 0.161
Max drawdown: 31.93%
peak / valley: 2015-06-12 / 2019-01-17
recovered on: Not recovered!
===========END OF REPORT=============
KAMA dual moving average crossover strategy
op = qt.Operator(strategies=['dkama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 42.3ms
time consumption for operation back looping: 585.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 44 45 89 53.1% 0.0% 46.9%
Total operation fee: ¥ 8,105.82
total investment amount: ¥ 100,000.00
final value: ¥1,070,862.54
Total return: 970.86%
Avg Yearly return: 9.94%
Skewness: -0.71
Kurtosis: 11.98
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.128
Beta: 0.724
Sharp ratio: 0.050
Info ratio: 0.003
250 day volatility: 0.159
Max drawdown: 39.87%
peak / valley: 2009-08-04 / 2013-12-26
recovered on: 2015-03-23
===========END OF REPORT=============
MAMA dual moving average crossover strategy
op = qt.Operator(strategies=['dmama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 270.6ms
time consumption for operation back looping: 580.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 137 136 273 53.3% 0.0% 46.7%
Total operation fee: ¥ 80,851.94
total investment amount: ¥ 100,000.00
final value: ¥2,574,675.59
Total return: 2474.68%
Avg Yearly return: 13.87%
Skewness: -0.70
Kurtosis: 13.43
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.045
Beta: 0.997
Sharp ratio: 0.038
Info ratio: 0.015
250 day volatility: 0.161
Max drawdown: 39.49%
peak / valley: 2015-06-12 / 2020-06-15
recovered on: Not recovered!
===========END OF REPORT=============
FAMA dual moving average crossover strategy
op = qt.Operator(strategies=['dfama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 258.3ms
time consumption for operation back looping: 547.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 58 57 115 52.3% 0.0% 47.7%
Total operation fee: ¥ 23,184.64
total investment amount: ¥ 100,000.00
final value: ¥1,764,779.73
Total return: 1664.78%
Avg Yearly return: 12.16%
Skewness: -0.69
Kurtosis: 12.85
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.031
Beta: 0.997
Sharp ratio: 0.027
Info ratio: 0.010
250 day volatility: 0.160
Max drawdown: 46.06%
peak / valley: 2015-06-12 / 2020-06-15
recovered on: Not recovered!
===========END OF REPORT=============
T3 dual moving average crossover strategy
op = qt.Operator(strategies=['dt3'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 42.1ms
time consumption for operation back looping: 572.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 118 118 236 52.8% 0.0% 47.2%
Total operation fee: ¥ 32,440.65
total investment amount: ¥ 100,000.00
final value: ¥1,286,985.75
Total return: 1186.99%
Avg Yearly return: 10.76%
Skewness: -0.73
Kurtosis: 13.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.008
Beta: 0.997
Sharp ratio: 0.030
Info ratio: 0.006
250 day volatility: 0.164
Max drawdown: 38.98%
peak / valley: 2007-10-16 / 2009-01-21
recovered on: 2009-07-24
===========END OF REPORT=============
TEMA dual moving average crossover strategy
op = qt.Operator(strategies=['dtema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 64.3ms
time consumption for operation back looping: 585.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 497 496 993 49.8% 0.0% 50.2%
Total operation fee: ¥ 145,631.11
total investment amount: ¥ 100,000.00
final value: ¥1,805,256.44
Total return: 1705.26%
Avg Yearly return: 12.26%
Skewness: 0.29
Kurtosis: 15.36
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.003
Beta: 0.993
Sharp ratio: 0.044
Info ratio: 0.009
250 day volatility: 0.158
Max drawdown: 44.01%
peak / valley: 2007-10-31 / 2008-11-04
recovered on: 2011-02-14
===========END OF REPORT=============
TRIMA dual moving average crossover strategy
op = qt.Operator(strategies=['dtrima'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 38.3ms
time consumption for operation back looping: 550.6ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 34 34 68 52.3% 0.0% 47.7%
Total operation fee: ¥ 9,376.42
total investment amount: ¥ 100,000.00
final value: ¥1,448,674.20
Total return: 1348.67%
Avg Yearly return: 11.28%
Skewness: -0.68
Kurtosis: 11.80
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.069
Beta: 0.805
Sharp ratio: 0.043
Info ratio: 0.008
250 day volatility: 0.161
Max drawdown: 39.98%
peak / valley: 2015-06-12 / 2020-03-23
recovered on: Not recovered!
===========END OF REPORT=============
WMA dual moving average crossover strategy
op = qt.Operator(strategies=['dwma'])
op.set_parameter(0, pars=(200, 22))
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 35.3ms
time consumption for operation back looping: 556.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 33 34 67 53.7% 0.0% 46.3%
Total operation fee: ¥ 9,293.27
total investment amount: ¥ 100,000.00
final value: ¥1,439,770.26
Total return: 1339.77%
Avg Yearly return: 11.25%
Skewness: -0.79
Kurtosis: 11.81
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.008
Beta: 0.924
Sharp ratio: 0.036
Info ratio: 0.008
250 day volatility: 0.161
Max drawdown: 36.23%
peak / valley: 2009-08-04 / 2013-12-26
recovered on: 2014-12-31
===========END OF REPORT=============
Moving average slope regression strategy class
SMA moving average slope regression strategy
op = qt.Operator(strategies=['slsma'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 23.8ms
time consumption for operation back looping: 572.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 180 179 359 52.3% 0.0% 47.7%
Total operation fee: ¥ 76,876.35
total investment amount: ¥ 100,000.00
final value: ¥2,212,725.86
Total return: 2112.73%
Avg Yearly return: 13.18%
Skewness: -0.65
Kurtosis: 12.88
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.040
Beta: 0.996
Sharp ratio: 0.029
Info ratio: 0.013
250 day volatility: 0.158
Max drawdown: 44.26%
peak / valley: 2009-08-04 / 2014-07-10
recovered on: 2015-03-30
===========END OF REPORT=============
DEMA moving average slope regression strategy
op = qt.Operator(strategies=['sldema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 30.5ms
time consumption for operation back looping: 574.3ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 292 291 583 53.5% 0.0% 46.5%
Total operation fee: ¥ 322,499.81
total investment amount: ¥ 100,000.00
final value: ¥6,003,557.59
Total return: 5903.56%
Avg Yearly return: 17.79%
Skewness: -0.32
Kurtosis: 13.04
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.089
Beta: 0.994
Sharp ratio: 0.057
Info ratio: 0.026
250 day volatility: 0.158
Max drawdown: 25.23%
peak / valley: 1997-05-12 / 1997-08-11
recovered on: 1999-05-24
===========END OF REPORT=============
EMA moving average slope regression strategy
op = qt.Operator(strategies=['slema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 25.4ms
time consumption for operation back looping: 599.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 232 231 463 53.3% 0.0% 46.7%
Total operation fee: ¥ 171,936.08
total investment amount: ¥ 100,000.00
final value: ¥4,069,320.46
Total return: 3969.32%
Avg Yearly return: 15.97%
Skewness: -0.49
Kurtosis: 13.53
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.067
Beta: 0.994
Sharp ratio: 0.046
Info ratio: 0.021
250 day volatility: 0.156
Max drawdown: 26.81%
peak / valley: 2007-10-16 / 2009-01-16
recovered on: 2009-06-18
===========END OF REPORT=============
HT_TRENDLINE moving average slope regression strategy
op = qt.Operator(strategies=['slht'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 129.4ms
time consumption for operation back looping: 580.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 186 185 371 53.1% 0.0% 46.9%
Total operation fee: ¥ 78,314.29
total investment amount: ¥ 100,000.00
final value: ¥2,313,301.46
Total return: 2213.30%
Avg Yearly return: 13.38%
Skewness: -0.67
Kurtosis: 13.57
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.042
Beta: 0.997
Sharp ratio: 0.038
Info ratio: 0.014
250 day volatility: 0.162
Max drawdown: 32.27%
peak / valley: 2009-08-04 / 2012-11-07
recovered on: 2014-12-02
===========END OF REPORT=============
KAMA moving average slope regression strategy
op = qt.Operator(strategies=['slkama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 24.5ms
time consumption for operation back looping: 566.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 221 220 441 49.3% 0.0% 50.7%
Total operation fee: ¥ 91,979.22
total investment amount: ¥ 100,000.00
final value: ¥2,145,109.68
Total return: 2045.11%
Avg Yearly return: 13.04%
Skewness: -0.36
Kurtosis: 14.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.029
Beta: 0.993
Sharp ratio: 0.040
Info ratio: 0.011
250 day volatility: 0.150
Max drawdown: 32.78%
peak / valley: 2007-10-16 / 2008-12-23
recovered on: 2009-07-06
===========END OF REPORT=============
MAMA moving average slope regression strategy
op = qt.Operator(strategies=['slmama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 133.8ms
time consumption for operation back looping: 578.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 494 493 987 53.2% 0.0% 46.8%
Total operation fee: ¥ 331,123.13
total investment amount: ¥ 100,000.00
final value: ¥3,839,038.80
Total return: 3739.04%
Avg Yearly return: 15.70%
Skewness: -0.11
Kurtosis: 13.87
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.055
Beta: 0.990
Sharp ratio: 0.048
Info ratio: 0.019
250 day volatility: 0.157
Max drawdown: 25.57%
peak / valley: 2015-07-23 / 2018-12-14
recovered on: 2020-07-06
===========END OF REPORT=============
FAMA moving average slope regression strategy
op = qt.Operator(strategies=['slfama'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 139.5ms
time consumption for operation back looping: 588.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 121 120 241 52.9% 0.0% 47.1%
Total operation fee: ¥ 34,547.45
total investment amount: ¥ 100,000.00
final value: ¥1,187,917.00
Total return: 1087.92%
Avg Yearly return: 10.40%
Skewness: -0.75
Kurtosis: 13.33
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.007
Beta: 0.997
Sharp ratio: 0.027
Info ratio: 0.004
250 day volatility: 0.163
Max drawdown: 47.92%
peak / valley: 2015-06-12 / 2020-06-15
recovered on: Not recovered!
===========END OF REPORT=============
T3 moving average slope regression strategy
op = qt.Operator(strategies=['slt3'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 24.6ms
time consumption for operation back looping: 554.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 106 106 212 53.1% 0.0% 46.9%
Total operation fee: ¥ 23,376.58
total investment amount: ¥ 100,000.00
final value: ¥ 984,738.14
Total return: 884.74%
Avg Yearly return: 9.58%
Skewness: -0.73
Kurtosis: 13.29
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.002
Beta: 0.997
Sharp ratio: 0.027
Info ratio: 0.002
250 day volatility: 0.163
Max drawdown: 35.69%
peak / valley: 2007-10-16 / 2009-01-21
recovered on: 2009-07-15
===========END OF REPORT=============
TEMA moving average slope regression strategy
op = qt.Operator(strategies=['sltema'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 25.1ms
time consumption for operation back looping: 627.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 637 636 1273 53.4% 0.0% 46.6%
Total operation fee: ¥ 271,491.57
total investment amount: ¥ 100,000.00
final value: ¥2,071,418.67
Total return: 1971.42%
Avg Yearly return: 12.88%
Skewness: -0.07
Kurtosis: 13.77
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.028
Beta: 0.989
Sharp ratio: 0.035
Info ratio: 0.011
250 day volatility: 0.159
Max drawdown: 40.19%
peak / valley: 2015-07-13 / 2018-12-14
recovered on: Not recovered!
===========END OF REPORT=============
TRIMA moving average slope regression strategy
op = qt.Operator(strategies=['sltrima'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 23.8ms
time consumption for operation back looping: 554.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 84 83 167 53.7% 0.0% 46.3%
Total operation fee: ¥ 18,479.00
total investment amount: ¥ 100,000.00
final value: ¥1,124,468.69
Total return: 1024.47%
Avg Yearly return: 10.16%
Skewness: -0.77
Kurtosis: 12.34
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.002
Beta: 0.997
Sharp ratio: 0.023
Info ratio: 0.004
250 day volatility: 0.166
Max drawdown: 39.94%
peak / valley: 2007-10-16 / 2008-12-31
recovered on: 2010-10-25
===========END OF REPORT=============
WMA moving average slope regression strategy
op = qt.Operator(strategies=['slwma'])
res = qt.run(op, mode=1)
Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 23.2ms
time consumption for operation back looping: 601.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 111 111 222 54.0% 0.0% 46.0%
Total operation fee: ¥ 33,484.92
total investment amount: ¥ 100,000.00
final value: ¥1,433,746.89
Total return: 1333.75%
Avg Yearly return: 11.23%
Skewness: -0.69
Kurtosis: 12.70
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.022
Beta: 0.991
Sharp ratio: 0.025
Info ratio: 0.008
250 day volatility: 0.160
Max drawdown: 39.66%
peak / valley: 2015-06-12 / 2020-06-16
recovered on: Not recovered!
===========END OF REPORT=============
